What is the highest possible value for the delta of a call option? What is...
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What is the highest possible value for the delta of a call option? What is the lowest possible value?
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Part 1
Delta must be in the following range:
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. Delta. enter your response here
Graph/chart FIGURE 21.1 30 Call Option 20 10 Payoff ($) 10 20 30 40 50 60 70 Replicating an Option in the Binomial Model The red line shows the payoff of the replicating portfolio and the blue line shows the payoff of the call option, as a function of next period's stock price. While they do not match everywhere, they do match for the two possible outcomes of the stock price next period, $40 and $60. 8 0 -10 Replicating Portfolio -20 Stock Price Next Period ($) Graph/chart FIGURE 21.1 30 Call Option 20 10 Payoff ($) 10 20 30 40 50 60 70 Replicating an Option in the Binomial Model The red line shows the payoff of the replicating portfolio and the blue line shows the payoff of the call option, as a function of next period's stock price. While they do not match everywhere, they do match for the two possible outcomes of the stock price next period, $40 and $60. 8 0 -10 Replicating Portfolio -20 Stock Price Next Period ($)
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